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Can I read Size-related Anomalies and Stock Return Seasonality on EtoBox?
Size-related Anomalies and Stock Return Seasonality by Donald B. Keim is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Size-related Anomalies and Stock Return Seasonality about?
This study examines, month-by-month, the empirical relation between abnormal returns and market value of NYSE and AMEX common stocks. Evidence is provided that daily abnormal return distributions in January have large means relative to the remaining eleven months, and that the relation between abnormal returns and size is always negative and more pronounced in January than in any other month -even in years when, on average, large firms earn larger risk-adjusted returns than small firms. In particular. nearly fifty percent of the average magnitude of the 'size effect' over the period 1963-1979 is due to January abnormal returns. Further, more than lifty percent of the January premium is attributable to large abnormal returns during the first week of trading in the year, particularly on the first trading day.
Who reads Size-related Anomalies and Stock Return Seasonality?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Donald B. Keim
- Publisher
- Elsevier BV
- Published
- 1983
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)